Z scale is more expensive than HO, but then, so's every other scale. Figure a few hundred dollars to get a train (either Märklin or Micro-Trains starter sets run about $175-$200). Locomotives run anywhere from about a hundred dollars to, well, let's just say "more." Rolling stock is a bit more expensive than N scale.
Micro-Trains has some nice track and they just introduced some new turnouts, so you can finally do a bit of switching. Märklin has had both manual and electric switches for a while.
Multiple units are going to depend on the characteristics of the individual locomotives as will the potential for long trains. Z scale locomotives don't weigh very much. I honestly couldn't tell you about long coal drags or such, but a single Z scale locomotive will pull a reasonable number of cars. I have heard of trains up to fifty cars long being pulled by a single Micro-Trains F-unit, but that's a bit much.
Word of warning: If you get a power pack other than one specifically made for Z, like the Märklin 67271, be sure to have a meter handy to check output. Z scale trains can handle only about 8 volts and conventional power packs can burn up your locomotives in short order.
I've heard it's very hard to go DCC in Z scale. Oh, sure, they make "Z" scale decoders, but try finding room in a Z scale engine for one...
Dollar-for-dollar you can do twice as much in N with many times the inventory in less than double the space. Not to "diss" our Z scale brethren, of course...
Modeling the Rio Grande Southern First District circa 1938-1946 in HOn3.
I would assume it is more expensive than N scale. there seems to be some correlation between price and size...almost like an inverse bell-curve. The large scales seem to be more expensive than like HO, which is somewhat cheaper than N (although prices all level out after the initial "i need all this stuff" phase)
I'm sorry that I can't help you out more than this...
-Dan
Builder of Bowser steam! Railimages Site
Modeling the "Fargo Area Rapid Transit" in O scale 3 rail.